Interest rate reset interval for certain fixed rate products

[ESMA 33-128-563 Securitisation Q&A, Q&A 5.2.14] (a) Where the Interest Rate Type (RREL42; CREL109; CRPL52) of an underlying exposure is “Fixed rate underlying exposure with compulsory future switch to floating (FLCF)”, the option “not applicable” (ND5) should be entered in field “Rate Reset Interval” (RREL47; CREL114; CRPL57). The date of the switch to floating interest rate will be entered in field “Interest Revision Date 1” (RREL51 and CPRL61) or in field “Index Determination Date” (CREL116). (b) Where the Interest Rate Type (RREL42; CREL109; CRPL52) of an underlying exposure is “Fixed rate underlying exposure with future periodic resets (FXPR)”, then the period of time (in months) between each reset should be entered in field “Rate Reset Interval” (RREL47; CREL114; CRPL57). The date of the reset/change in (fixed) interest rate will be entered in field “Interest Revision Date 1” (RREL51 and CPRL61) or in field “Index Determination Date” (CREL116). (c) Where the Interest Rate Type (RREL42; CREL109; CRPL52) of an underlying exposure is “Fixed rate underlying exposure (for life) (FXRL)”, then the “ND5” should be typed into the field “Rate Reset Interval” (RREL47; CREL114; CRPL57).